Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0093
Annualized Std Dev 0.1099
Annualized Sharpe (Rf=0%) -0.0848

Row

Daily Return Statistics

Close
Observations 4399.0000
NAs 1.0000
Minimum -0.0556
Quartile 1 -0.0030
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0030
Maximum 0.0838
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0069
Skewness -0.0095
Kurtosis 17.3018

Downside Risk

Close
Semi Deviation 0.0050
Gain Deviation 0.0052
Loss Deviation 0.0056
Downside Deviation (MAR=210%) 0.0105
Downside Deviation (Rf=0%) 0.0050
Downside Deviation (0%) 0.0050
Maximum Drawdown 0.4361
Historical VaR (95%) -0.0094
Historical ES (95%) -0.0165
Modified VaR (95%) -0.0090
Modified ES (95%) -0.0090
From Trough To Depth Length To Trough Recovery
2004-04-02 2008-10-10 NA -0.4361 4271 1140 NA
2003-12-23 2003-12-29 2004-03-12 -0.0374 55 4 51
2003-10-27 2003-10-30 2003-12-22 -0.0278 40 4 36
2004-03-19 2004-03-24 2004-04-01 -0.0148 10 4 6
2004-03-15 2004-03-16 2004-03-18 -0.0052 4 2 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA 0 0.1 0 0 0.1
2004 0.3 0.4 1.3 0.5 0.6 0.7 0.5 0.7 0.3 0 0.4 0.7 6.6
2005 1.7 0.2 0.5 0.3 0.5 0.2 0.8 -0.5 0.1 1.2 -0.3 0.3 5.1
2006 0.2 0 -0.5 -0.1 -0.2 0.3 -0.3 0.2 0.2 0 0.2 0.5 0.5
2007 0 0.1 -0.3 0.3 -0.2 0.6 0.6 1.1 0 0.7 0.5 0.6 4.1
2008 1.1 0.2 0.4 0.7 -0.2 0.6 1.1 0 1 0.3 1.3 0.4 7.1
2009 0 0.4 0 0.2 -0.3 1.4 1.2 1.4 0.6 -0.2 0.2 0.5 5.3
2010 1.6 0.7 0.2 0.6 1 0.3 0.1 0.2 0.5 0.9 0.1 1.5 8
2011 0.2 0.2 1.1 1.6 0.7 1.3 0.9 0.1 0.3 0.9 -0.3 0 7.2
2012 0 0.1 0.3 0.2 0.5 0.2 0 0.8 0 0.3 -0.1 -0.1 2.3
2013 0.5 0.6 0.1 -0.4 0.1 2.3 0.6 1 0.3 0 -0.2 -0.8 4.1
2014 -0.1 0.3 0 0.1 -0.4 -0.2 -0.1 0.6 0.7 -0.2 0 0.9 1.6
2015 0.3 0.6 1 -0.8 -0.2 -0.1 0.6 -0.3 0.2 -0.3 0.4 -0.1 1.4
2016 0.8 0 -0.3 0.7 0.5 1.7 -0.2 -0.2 -0.1 -0.5 -0.7 0.3 2.1
2017 0.2 -0.1 0.8 -0.2 0.1 0.4 0.7 0.3 0.3 0.3 0.1 0.3 3
2018 0.7 -0.5 0.9 0.2 0.3 0.6 -0.2 0 0.5 0.3 0.2 0.1 3
2019 0.2 -0.1 -1.2 0.3 0.1 -0.9 0.3 0 0.3 0 -0.1 0.1 -1.2
2020 0.1 -0.6 -1.5 0.3 0.4 1.1 -0.6 0 0.2 1.3 -0.2 4.7 5.1
2021 0.2 0 0.1 NA NA NA NA NA NA NA NA NA 0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-09-26  15.0 SPY    100. -0.0033 -0.0359   -0.0019   0.0234    0.166   -0.310       NA <NA>     NA    NA       NA
2 2003-09-29  15.0 SPY    101.  0.0098 -0.0158    0.0017   0.0338    0.220   -0.305       NA <NA>     NA    NA       NA
3 2003-09-30  15.0 SPY    100. -0.0097 -0.029    -0.0147   0.0144    0.222   -0.312       NA <NA>     NA    NA       NA
4 2003-10-01  15.0 SPY    102.  0.0213  0.00960  -0.007    0.0232    0.191   -0.292       NA <NA>     NA    NA       NA
5 2003-10-02  15.0 SPY    102.  0.0036  0.0216   -0.0088   0.0376    0.232   -0.281       NA <NA>     NA    NA       NA
6 2003-10-03  15.0 SPY    103.  0.0092  0.0344   -0.0002   0.0267    0.256   -0.278       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart